On Runge-Kutta-type methods for two-dimensional stochastic differential equations

DOI10.1007/S10986-006-0031-1MaRDI QIDQ2471640zbMATH OpenOpenAlexFDO

Authors Jurgis Navikas

Publication date 18 February 2008

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-006-0031-1

zbMATH Keywords

numerical exampleRunge-Kutta methodstochastic differential equationweak approximation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Recommendations

• Second order Runge-Kutta methods for Itô stochastic differential equations
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Runge-Kutta methods for numerical solution of stochastic differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations

Cites work

• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2113202 (Why is no real title available?)
• Second order weak Runge-Kutta type methods for Itô equations
• Second-order weak approximations for Stratonovich stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(1)

• A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise

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